论文标题

关于确定性和不确定双曲线系统的多层次蒙特卡洛方法

On multilevel Monte Carlo methods for deterministic and uncertain hyperbolic systems

论文作者

Hu, Junpeng, Jin, Shi, Li, Jinglai, Zhang, Lei

论文摘要

在本文中,我们评估了确定性和不确定双曲线系统的多级蒙特卡洛方法(MLMC)的性能,其中随机性是在建模参数中或近似算法中引入的。 MLMC是一种广泛用于加速蒙特卡洛(MC)采样的众所周知的差异方法。但是,我们在本文中证明,对于双曲线系统,MLMC是否可以实现真正的提升。 MLMC和MC的计算成本取决于单个样本的精度(偏差)和数值方法的计算成本,以及采样的MLMC校正或MC解决方案的方差。我们使用这些参数来表征MLMC和MC性能的三个制度,并表明MLMC可能不会加速MC,并且当MC解决方案和MLMC校正的差异相同时,甚至可能具有更高的成本。我们的研究是通过一些原型双曲系统进行的:线性标量方程,欧拉和浅水方程以及线性弛豫模型,在某些情况下,在分析上在分析上证明了上述陈述,并且在数值的情况下,对于由白噪声参数和Glimm选择方法的随机选择性方程进行了数值证明,以确定的随机选择。

In this paper, we evaluate the performance of the multilevel Monte Carlo method (MLMC) for deterministic and uncertain hyperbolic systems, where randomness is introduced either in the modeling parameters or in the approximation algorithms. MLMC is a well known variance reduction method widely used to accelerate Monte Carlo (MC) sampling. However, we demonstrate in this paper that for hyperbolic systems, whether MLMC can achieve a real boost turns out to be delicate. The computational costs of MLMC and MC depend on the interplay among the accuracy (bias) and the computational cost of the numerical method for a single sample, as well as the variances of the sampled MLMC corrections or MC solutions. We characterize three regimes for the MLMC and MC performances using those parameters, and show that MLMC may not accelerate MC and can even have a higher cost when the variances of MC solutions and MLMC corrections are of the same order. Our studies are carried out by a few prototype hyperbolic systems: a linear scalar equation, the Euler and shallow water equations, and a linear relaxation model, the above statements are proved analytically in some cases, and demonstrated numerically for the cases of the stochastic hyperbolic equations driven by white noise parameters and Glimm's random choice method for deterministic hyperbolic equations.

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